Related papers: Optimal stopping of one-dimensional diffusions wit…
This note is devoted to study the output stabilizability of a simplified and a one-dimensional diffusion equation. Necessary and sufficient conditions for the system to be output stabilizable will be given. These conditions are given in…
We present a proof for the existence and uniqueness of weak solutions for a cut-off and non cut-off model of non-linear diffusion equation in finite-dimensional space RD useful for modelling flows on porous medium with saturation, turbulent…
In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However,…
The maximum entropy principle is a powerful tool for solving underdetermined inverse problems. This paper considers the problem of discretizing a continuous distribution, which arises in various applied fields. We obtain the approximating…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
We consider two dimensional dispersions of droplets of isotropic phase in a liquid with an XY-like order parameter, tilt, nematic, and hexatic symmetries being included. Strong anchoring boundary conditions are assumed. Textures for a…
In this paper, we consider the problem of jointly performing online parameter estimation and optimal sensor placement for a partially observed infinite dimensional linear diffusion process. We present a novel solution to this problem in the…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan \cite{StroockVaradhan06}, this paper first…
This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation,…
We resolve a long standing question regarding the suitable effective diffusion coefficient of the spherically-symmetric transport equation, which is valid at long times. To that end, we generalize a transport solution in three dimensions…
In this work, a complete error analysis is presented for fully discrete solutions of the subdiffusion equation with a time-dependent diffusion coefficient, obtained by the Galerkin finite element method with conforming piecewise linear…
In this paper we consider one-dimensional diffusions with constant coefficients in a finite interval with jump boundary and a certain deterministic jump distribution. We use coupling methods in order to identify the spectral gap in the case…
We study the well-posedness for initial boundary value problems associated with time fractional diffusion equations with non-homogenous boundary and initial values. We consider both weak and strong solutions for the problems. For weak…
This paper is devoted to confront two different approaches to the problem of dynam-ical perfect plasticity. Interpreting this model as a constrained boundary value Friedrichs' system enables one to derive admissible hyperbolic boundary…
In this paper, optimal control problems governed by diffusion equations with Dirichlet and Neumann boundary conditions are investigated in the framework of the gradient discretisation method. Gradient schemes are defined for the optimality…
We present a formulation of an optimal control problem for a two-dimensional diffusion process governed by a Fokker-Planck equation to achieve a nonequilibrium steady state with a desired circulation while accelerating convergence toward…
In this paper, we consider a class of optimal control problems for a one-dimensional time-discrete constrained quasilinear diffusion state-systems of singular Allen--Cahn types and its regularized approximating problems. We note that the…